Commodity Futures Are More Vulnerable to Rising Crude Oil Prices. From a Dynamic Perspective, We Observe Continued Volatility in …

This is the first comprehensive study on the forecasting of the realized volatility of non-ferrous metal futures. Based … volatility series of aluminum is most useful in enhancing the accuracy of forecasts for other metals. While consistently …

We propose a factor state-space approach with stochastic volatility to model and forecast the term structure of future … stochastic volatility process. Exploiting the conjugacy of the Wishart and the Gaussian distribution, we develop a … individual prices and their volatility. It also shows that this model has a good out-of-sample forecast performance …

This paper examines the macroeconomic determinants of volatility of commodity futures. The focus of this paper is on … decomposes the volatility series into short-run and long-run, and allows to incorporate data with mixed frequencies. Taking … advantage of this model, we include the daily price volatility and low-frequency macroeconomic variables directly in the model …

findings reveal over 20 statistically significant historical events that triggered abrupt and enduring increases in volatility … volatility connectedness include their negativity, unexpected nature, and the introduction of concerns about oil supply shortages. …